While machine learning and its many variants are becoming established tools in quantitative finance, their application in a risk measurement context is less developed. This paper uses a scheme from probability theory and statistics – Gaussian Processes – and applies the corresponding...

Revised standards for capital requirements for market risks in a bank's trading book have been issued as a result of the Fundamental Review of the Trading Book. Under the new standards, default risk needs to be measured and capitalized through a dedicated Default Risk Charge (DRC). While...

Quantum computing allows a significant speed-up over traditional CPU- and GPU-based algorithms when applied to particular mathematical challenges such as optimisation and simulation. Despite promising advances and extensive research in hard- and software developments, currently available quantum...

This paper presents a modelling framework for the Incremental Risk Charge (IRC) and Comprehensive Risk Measure (CRM) as the new capital requirements for market risks in a bank’s trading book ("Basel 2.5"). Both are Value-at-Risk-type measures projecting losses over a one-year capital horizon...